I implement the accounting-based risk measurement approach in equity valuation proposed by Nekrasov and Shroff (2009 … this risk measurement approach produce a significantly smaller valuation inaccuracy relative to the market-based approach … intrinsic value estimate based on the accounting approach. Additionally, the estimated risk can be transformed to obtain …

We provide evidence on the effects of SFAS 133 on the risk relevance of accounting measures of bank derivative … greater extent after SFAS 133. Our results suggest that, contrary to critics' claims, SFAS 133 has increased the risk …

Following the Basel Committee's advocacy of value-at-risk (VaR) disclosure in external reports of financial … of the most important disclosure approaches for market-risk quantitative information in 1997. I empirically examine both … shareholder protection, a larger and more independent board, the presence of a separate risk committee under the board of …

A practically oriented, top-down approach to assessing the quality of EL by backtesting with a properly defined risk … measure is introduced. In a first step, the concept of risk expenses ("Cost of Risk") has to be extended beyond the classical … provisioning view, toward a more adequate capital consumption approach ("Impact of Risk"). On this basis, the difference between …

The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and … estimate of risk expenses, however, is barely covered. So far there are no established backtesting procedures for EL that … quantify its impact with regards to pricing or risk-adjusted profitability measures. In this paper, a practically oriented, top …

Conventional measures of risk in earnings based on historical standard deviation require long time series data and are … and quantile regression to forecast risk reflected in the shape of the distribution of future earnings. We derive measures … of dispersion, asymmetry and tail risk in future earnings using quantile forecasts as inputs. Our analysis shows that a …

quality and transform it into the investment risk assessment. It provides investors an effective way to control investment … risk and to improve the investment decision-making process. -- estimation errors of working capital ; accrual quality … ; investment risk …

to document their risk assessments. This study examines a potentially unintended consequence of such a requirement on … auditors who have pressure to reach lenient, client-preferred risk assessments. Because documentation requirements potentially … adding documentation requirements leads auditors who assess risk in qualitative (rather than quantified) terms to engage more …

different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for … ; Internationale Rechnungslegung ; Marktpreisrisiken ; Finanzrisiken ; Value at Risk ; Sensitivitätsanalyse ; Publizitätsverhalten … ; Risikomanagement ; Monte-Carlo Simulation ; Kapitalmarkt ; Risk reporting ; Market Risk ;Sensitivity Analysis ; Value at Risk …